Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0110
Annualized Std Dev 0.1272
Annualized Sharpe (Rf=0%) -0.0866

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1236
Quartile 1 -0.0033
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0036
Maximum 0.1044
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0080
Skewness -0.9479
Kurtosis 38.1907

Downside Risk

Close
Semi Deviation 0.0059
Gain Deviation 0.0059
Loss Deviation 0.0070
Downside Deviation (MAR=210%) 0.0111
Downside Deviation (Rf=0%) 0.0059
Downside Deviation (0%) 0.0059
Maximum Drawdown 0.5759
Historical VaR (95%) -0.0105
Historical ES (95%) -0.0190
Modified VaR (95%) -0.0090
Modified ES (95%) -0.0090
From Trough To Depth Length To Trough Recovery
1999-01-08 2008-10-10 NA -0.5759 5585 2454 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.7 -0.4 0 0.7 0 1.1 0 -0.8 -0.8 -0.8 -0.4 -0.5 -1.1
2000 0.4 -1.4 -0.4 0.9 1.4 1.8 0 -0.4 -0.4 0 2.3 -0.9 3.2
2001 0.1 0.5 1.5 -0.2 0.1 0.3 0.2 0.3 0.1 0.6 0.3 0 3.7
2002 -0.5 0.3 0.8 0.6 -0.1 0.1 0.9 1.7 0.3 -0.3 0 0 3.8
2003 0 -0.6 0.9 0.6 0.1 -0.1 0.5 -0.7 0.3 0.2 -0.1 1.2 2.3
2004 -0.8 -0.2 -0.4 1.2 -0.9 0.1 1.2 0.5 0.7 0.1 -0.6 0.5 1.6
2005 0.2 1.2 0.8 0.3 0.2 -0.4 -0.1 0.6 0.3 0.2 -0.3 0.5 3.6
2006 0.1 0.1 0.5 0.3 -0.5 -0.1 0 -0.2 0.1 0.2 0 -0.1 0.4
2007 0.4 0.2 0.1 0.3 -0.7 0.5 -0.5 -0.1 -0.3 -0.7 0.5 0.4 0
2008 -0.1 -2.1 0.1 0.2 -0.4 0.3 0.4 0.2 1.1 0.3 -0.1 1.9 1.8
2009 -0.2 1.1 0 1.5 -1 0.9 0.6 -0.1 0.4 -0.4 -0.1 -0.6 2
2010 0.5 0.4 0 0 -0.7 -0.7 -0.7 -0.3 0.7 -0.3 -1.2 1.4 -0.9
2011 0.5 0.5 0.5 0.2 0.8 0.7 0.8 0.7 -0.6 0.3 -0.1 1.3 5.5
2012 0.1 0.9 -0.5 0 -0.3 -0.7 1.3 0.6 0.2 0.8 0.3 -0.1 2.7
2013 0.5 -0.3 -0.1 0.3 0.4 0.2 -0.7 0.6 -0.2 -0.5 0.5 -0.2 0.4
2014 0.7 -0.1 -0.2 0.2 -0.6 -0.4 0.4 0.1 0.1 0.1 -0.4 0.5 0.6
2015 0.9 1.3 0.5 -0.2 0.1 -0.3 0.6 0.2 0 0.7 0.1 -0.1 3.9
2016 0.4 0.2 0.1 0.5 0.5 0.6 -0.1 -0.2 0.1 -0.2 -1.5 0.7 1
2017 0.2 -0.5 0.3 0.1 0.1 -0.1 0.1 -0.1 0.4 -0.1 0.5 -0.1 0.7
2018 0.1 -0.1 -0.1 0 0.1 0.2 0.2 0.2 -0.4 0 0.1 0.3 0.6
2019 0.2 0.2 0 0.3 0.1 0 0.6 -0.1 0.4 -0.2 -0.6 -0.4 0.6
2020 0.3 -1.1 -4.4 0.2 0.8 0.3 0.5 0.4 0.2 0 -0.1 1.2 -1.8
2021 0.4 0.1 0.4 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  18   SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  18   SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  18.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  18.1 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  17.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  17.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart